多因子投资组合选择模型研究

Study on Multi-factor Portfolio Selection Models

如何构建合理实用的投资组合优化模型并能快速求解,一直是金融最优化领域关注的热点问题.本文提出了一种新的金融投资模型—多因子结构下的静态MV模型,并对此模型进行了详细研究,得到了不允许卖空情况下的解析最优解,推广了现有单因子模型情况下的结论.新模型与解法克服了现有文献中对投资权重的选择缺乏科学性和可操作性不强等缺点,且适用于我国的金融市场体制.

How to construct a reasonable and practical portfolio optimization model and solve it quickly has been a key issue in financial optimization. This paper presents a new portfolio selection model--the static MV-type model under the multi-factor model, which is then studied in detail. The explicit optimal solution is derived under the no-short selling constraint, which significantly improve the conclusions got under the single-factor model. Our new model and solution method overcome current methods＇ shortcomings such as the lack of scientific foundation and difficulty in implementation. The obtained conclusion can be directly applied to Chinese stock markets.